LMEForward

class sigtech.framework.instruments.lme_otc.LMEForward

Baseclasses: LMEForwardBase

Subclasses: LME3MForward

Generic LME Forward with arbitrary delivery date (that can be more than 3 months away, and doesn’t have to be 3rd Wednesday. It is questionable how realistic it is to be able to actually trade such instrument, but we keep it for generality. If start_date or strike are missing, we assume the contract is a 3M forward and derived the missing data from that, if we can. However if this generic forward is used, it should naturally have both start date and the strike.

Example object creation:

forward = sig.LMEForward(
    underlying_ticker='LX',
    start_date=dtm.date(2017, 4, 5),
    delivery_date=dtm.date(2018, 4, 3),
    strike=3248,
    contract_size=25
)

This will create a forward contract, initiated on 5-Apr-2017, for delivery on 3-Apr-2018 of 25 tons of zinc at the price of 3248 per ton.

delivery_date: date